Combine agar and water in a small saucepan. Bring to a boil, then reduce heat and simmer uncovered for 10 minutes, stirring occasionally. Let cool.
Process cooled agar with all remaining ingredients except capers in a blender or food processor until well mixed. Stir in capers.
Store in refrigerator. Use at room temperature (dressing thickens when chilled due to the olive oil). Mix well before serving.